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Valuation and Hedging Strategies of Exchange Options on Nontraded Assets
http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62044
title: Valuation and Hedging Strategies of Exchange Options on Nontraded Assets abstract: A pricing formula for exchange options on nontraded assets is discussed in this paper. In comparison with Margrabe (1978), our pricing formula contains two additional parameters which were the result from the introduction of the two tradable assets with relationship to the two nontraded underlying assets. In addition, the hedging strategy and value function of an agent whose portfolio contains two tradable assets and an exchange option on nontraded assets are derived.We conclude that for hedging purpose, the optimal position for one tradable asset needs to be modified downward, while that of the other needs to be modified in the opposite direction. And the amount of the modification depends on the relationship between the nontraded asset and its tradable counterpart.
<br>Pricing Interest Rate Related Instruments
http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62042
title: Pricing Interest Rate Related Instruments abstract: This paper is concerned with implementing a method for pricing interest rate related derivatives. We first show a method for estimating the term structure of interest rates from market data and then show how this term structure is used to calibrate the Black-Derman-Toy model, a binomial model for the evolution of the short rate. An alogrithm for constructing the model is given and prices for several interest rate derivatives are then calculated using the Arrow-Debreu pricing scheme. Lastly, a framework for pricing coumpound options is explored.
<br>The Pricing And Determinants Of The Discretionary Component Of Employee Stock Option Value
http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62040
title: The Pricing And Determinants Of The Discretionary Component Of Employee Stock Option Value abstract: In this study, I first re-examine the pricing effect of employee stock option (ESO) value. I find a negative association between ESO value and share price, supporting the view that investors view ESO value as an expense of the firm. Further, I find a negative relation between the nondiscretionary component of ESO value (i.e., the expected ESO value) and stock price; this finding indicates that markets view the full ESO value as well as the nondiscretionary component of ESO value as an expense of the firm. Additionally, I find the discretionary component of ESO value (i.e., the unexpected ESO value) is also negatively associated with stock price; this finding suggests that markets price the discretionary component of ESO value as well. Further, I find a positive association between stock price and understatement of ESO value.
<br>The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht
http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62038
title: The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht abstract: We use square root stochastic volatility with or without jump model to study the heteroskedasticity and jump behavior of the Thai Baht. Bayesian factor is used to evaluate the explanatory power of competing model. It turns out that the square root stochastic volatility model with independent jump in observation and state equations (SVIJ) has the best explanatory power to our sample. Using the estimation results of the SVIJ model, we are able to link the major events of the Asian financial crisis to the jump behavior of either volatility or observation.
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